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Japan Housing Finance Agency#s Series 119 Structured Issuance Assigned Preliminary #AAA (sf)# Rating

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TOKYO--13 Mar--S&P Global Ratings

TOKYO (S&P Global Ratings) March 13, 2017--S&P Global Ratings today said it has assigned its preliminary 'AAA (sf)' rating to Japan Housing Finance Agency' s (JHF) series 119 fixed-rate residential mortgage-secured pass-through notes. JHF will set the expected issue amount at or less than ¥237.9 billion in mid-March.

The JHF series 119 notes are a securitization to be issued by JHF. A pool of residential mortgage loans that JHF purchased from private-sector financial institutions will ultimately back the notes.
We base the preliminary rating on the notes on our view of the transaction's legal structure, credit support, and pool characteristics, among other factors.

Information that we obtain hereafter may lead us to assign a final rating that differs from the preliminary rating. We will assign a final rating after JHF finalizes the amount and exact terms of the notes and we complete a full rating analysis, including a review of the final pool, cash flow modeling, final structure, transaction documents, and legal opinion.

S&P Global Ratings' preliminary rating reflects its opinion on the likelihood of the timely payment of interest, or interest distribution in the case of beneficiary certificates, allowing for a three-month grace period, and the ultimate repayment of principal by the transaction's legal final maturity date.

The preliminary rating reflects the below. We assume a foreclosure frequency of about 31.2% for the expected loan receivables under a stress level commensurate with our 'AAA' rating and a foreclosure frequency of about 3.6% under a stress level commensurate with our 'B' rating (base-case scenario).

These rates, which reflect our view of the credit quality of the underlying assets, are prior to applying adjustments for the transaction's convertible pro rata pay structure.
We also assume a loss severity rate of about 43% for defaulted receivables under our 'AAA' stress scenario.

We conducted a cash flow analysis based on the foreclosure frequency and loss severity rate assumptions. As a result, under the stress level sized for our 'AAA' rating, we concluded that interest payments and principal repayments on the notes and beneficiary certificates (subsequent to a beneficiary trigger event) would be made as scheduled (allowing for a three-month grace period with respect to payment of interest, or interest distribution in the case of the beneficiary certificates).

Prior to a beneficiary certificate trigger event and if receivables in the collateral pool default or are delinquent for four months, JHF will eliminate these receivables from the collateral pool and amortize the notes by the amount of these receivables to maintain the initial level of overcollateralization in the trust.

After a beneficiary certificate trigger event, the overcollateralization will mitigate the credit risk of the transaction's underlying mortgage loans and interest rate risk (interest on the mortgage loans less the sum of interest payments on the beneficiary certificates and transaction costs).

In our view, the transaction has limited exposure to setoff risk. This is because when JHF purchases loans from private-sector financial institutions, the agency secures the obligors' unconditional consent to the transfer of the loans and the obligors relinquish their rights to offset any claims they have with the financial institutions against their mortgage debt.

After considering the structural features of this transaction--including the transfer of collections from the collateral receivables, the level of liquidity protection, and the lack of a credit enhancement floor--we believe the rating on the notes depends to an extent on the credit quality of JHF.


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